[Help Using ISA Server]

You can do it using content filtering.

Enable only content that you really need, and exclude all others, in this case i suppose wmp uses this type of content "Content-Type: application/x-mms-framed"

[Network monitoring]

What software do you suggest for network monitoring?

I have cisco routers, switches and firewall in network and i want to monitor syslog messages, snmp and some services (like sql,www,dns). Also i need good pix syslog log file analyzer.

Is there any all-in-one solution for all my needs, or I have to have a few applications?

Is there any freeware solution?

[Prevent users to change or set wallpaper]

If you are using Active Directory set next options in group policy:

User Configuration/Administrative templates/Desktop/Active Desktop/Enable Active Desktop

and then

User Configuration/Administrative templates/Desktop/Active Desktop/Active Desktop Wallpaper